英文标题：
《Time-varying return predictability in the Chinese stock market》
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作者：
Huai-Long Shi, Zhi-Qiang Jiang and Wei-Xing Zhou (ECUST)
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最新提交年份：
2016
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英文摘要：
China\'s stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap automatic variance ratio test and the generalized spectral test. We find that the return predictability vary over time and significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants.
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中文摘要：
中国股市是全球最大的新兴市常人们普遍认为，中国股市远未达到有效水平，存在着可能的线性和非线性相关性。我们利用wild bootstrap自动方差比检验和广义谱检验研究了中国股市收益的可预测性。我们发现，回报率的可预测性随时间而变化，在市场动荡的情况下，可以观察到显著的回报率可预测性。我们的发现与适应性市场假说一致，并对市场参与者具有实际意义。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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